| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 11.99% | -0.27% |
| CAGR﹪ | 28.45% | -0.59% |
| Sharpe | 1.8 | -0.04 |
| Prob. Sharpe Ratio | 88.61% | 48.88% |
| Smart Sharpe | 1.74 | -0.04 |
| Sortino | 2.79 | -0.06 |
| Smart Sortino | 2.7 | -0.06 |
| Sortino/√2 | 1.97 | -0.04 |
| Smart Sortino/√2 | 1.91 | -0.04 |
| Omega | 1.34 | 0.99 |
| Max Drawdown | -8.58% | -4.02% |
| Max DD Date | 2026-03-30 | 2026-05-29 |
| Max DD Period Start | 2026-02-26 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 59 | 167 |
| Volatility (ann.) | 14.52% | 7.47% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 3.32 | -0.15 |
| Skew | 0.03 | 0.18 |
| Kurtosis | 0.67 | -0.03 |
| Ulcer Performance Index | 4.56 | -0.12 |
| Risk-Adjusted Return | 28.45% | -0.63% |
| Risk-Return Ratio | 0.11 | -0.0 |
| Avg. Return | 0.11% | -0.0% |
| Avg. Win | 0.75% | 0.41% |
| Avg. Loss | -0.59% | -0.43% |
| Win/Loss Ratio | 1.28 | 0.97 |
| Profit Ratio | 1.01 | 0.93 |
| Expected Daily | 0.1% | -0.0% |
| Expected Monthly | 1.63% | -0.04% |
| Expected Yearly | 11.99% | -0.27% |
| Kelly Criterion | 17.08% | -6.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.4% | -0.78% |
| Expected Shortfall (cVaR) | -1.7% | -0.98% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.34 | -0.01 |
| Gain/Pain (1M) | 2.02 | -0.03 |
| Payoff Ratio | 1.28 | 0.97 |
| Profit Factor | 1.34 | 0.99 |
| Common Sense Ratio | 1.51 | 1.18 |
| CPC Index | 0.92 | 0.46 |
| Tail Ratio | 1.12 | 1.19 |
| Outlier Win Ratio | 3.24 | 3.07 |
| Outlier Loss Ratio | 2.75 | 2.44 |
| MTD | 3.15% | -2.03% |
| 3M | 3.91% | 0.09% |
| 6M | 11.99% | -0.27% |
| YTD | 11.99% | -0.27% |
| 1Y | 11.99% | -0.27% |
| 3Y (ann.) | 28.45% | -0.59% |
| 5Y (ann.) | 28.45% | -0.59% |
| 10Y (ann.) | 28.45% | -0.59% |
| All-time (ann.) | 28.45% | -0.59% |
| Best Day | 2.91% | 1.25% |
| Worst Day | -2.58% | -1.34% |
| Best Month | 10.51% | 2.38% |
| Worst Month | -4.94% | -2.03% |
| Best Year | 11.99% | -0.27% |
| Worst Year | 11.99% | -0.27% |
| Avg. Drawdown | -1.5% | -2.14% |
| Avg. Drawdown Days | 10 | 84 |
| Recovery Factor | 1.38 | 0.04 |
| Ulcer Index | 0.03 | 0.02 |
| Serenity Index | 0.67 | -0.01 |
| Avg. Up Month | 0.36% | 1.48% |
| Avg. Down Month | -4.94% | -1.32% |
| Win Days | 53.51% | 47.66% |
| Win Month | 71.43% | 42.86% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.04 |
| Alpha | - | -0.01 |
| Correlation | - | 8.11% |
| Treynor Ratio | - | -6.4% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 11.99 | -0.27 | -0.02 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-08-11 | -4.02 | 167 |
| 2026-02-24 | 2026-02-24 | -0.26 | 1 |